RESEARCH

Academic Research

 

Over the years, my research program has diversified and it now encompasses a wide range of theoretical and applied questions in the fields of Insurance Ruin Theory and Mathematical Finance. Non-Gaussian Option Pricing Models, Lévy Insurance Risk Models, Financial Econometric Regime-switching Models and Axiomatic Risk Measures are some of my research interests nowadays.  

Industrial Partnership Research 

 

Although I continue to work on classical problems, I now also have research projects in partnership with key industrial quantitative research teams in the finance sector. These projects are carried out under industry-funded research contracts that allow my team of students to explore applied-directions in new exciting fields bringing added value to our partner's operations. 

I actively search for new partnerhip opportunities: Inquiries are welcome.  

ACADEMIC

RESEARCH

INDUSTRIAL PARTNERSHIP

RESEARCH

December 3, 2016

Thanks to funding from the Montreal Institute of Structured Finance and Derivatives (IFSID), I am currently setting up a new research project in collaboration with the National Bank of Canada and the...

November 30, 2015

In partnership with National Bank of Canada, we look at "zero-intelligence" simulator models in order to reproduce high-frequency signatures and limit-order-book features of assets of interest. This p...

The field of risk theory has traditionally focused on ruin-related quantities. In particular, the so-called expected discounted penalty function (Gerber and Shiu. N Am Actuar J, 2(1):48–78, 1998) has...

April 7, 2015

In partnership with a private broker, we explored various machine learning methods in order to produce a trend-detecting algorithm that would ultimate optimize trading orders. An algorithmic trading a...

July 1, 2014

In partnership with CIBC Asset Management, we explored the applications of Self-organizing maps in detecting macro-economical regime changes in financial data series.

 

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November 30, 2015

In partnership with National Bank of Canada, we look at "zero-intelligence" simulator models in order to reproduce high-frequency signatures and limit-order-book features of assets of interest. This p...

April 7, 2015

In partnership with a private broker, we explored various machine learning methods in order to produce a trend-detecting algorithm that would ultimate optimize trading orders. An algorithmic trading a...

July 1, 2014

In partnership with CIBC Asset Management, we explored the applications of Self-organizing maps in detecting macro-economical regime changes in financial data series.

 

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Funding Agencies

Industrial Partners

Department of Mathematics and Statistics

University of Montreal

© 2016 by Manuel Morales.

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